If you purchase a gun on line, it will need to be shipped to a FFL. If you buy a used gun from an individual, there is no need to involve a FFL but to CYA, make sure there is a bill of sale. You can do a Google search for a Firearms Bill of Sale which should contain all the info about the gun and the name, address, and a driver's license or CCW license number of the seller. You may consider getting the serial number of the gun prior to completing the sale and checking with your State licensing Dept. via their web site to determine it is not a stolen gun.
May the Schwartz Be With You.